Acronyms and Terminology

These acronyms and terms are specific to the Volland options dealer positioning platform and/or are commonly referenced by Volland users.
 
For common terminology in the options trading world, please visit the Glossary published by The Options Institute.
 
For common terminology in the futures trading world, please visit the Glossary published by CME Institute.

Commonly Used Acronyms
 
​0DTE: Zero days until expiration. Options that expire that same day.
1DTE, 2DTE, etc.: One day until expiration, two days until expiration, etc. Options that expire in one day, two days, etc.
AH: After hours
AMC: After market close
ATM: At the money
BD: Broker-dealer
BMO: Before market open
BTC: Buy to close
BTD: Buy the dip
BTO: Buy to open
CBOE: Chicago Board of Options Exchange
CME: Chicago Mercantile Exchange
CPI: Consumer Price Index
CTA: Commodity trading advisor
DAG: Delta-adjusted gamma
EOD: End of the day
/ES: E-mini S&P 500 Index Futures
ETF: Exchange-traded fund
FOMC: Federal Open Market Committee
GTC: Good-til-cancelled
HOD: High of the day
HV: Historical volatility
ITM: In the money
IV: Implied volatility
LIS: Line in the sand
LOD: Low of the day
MM: Market maker
MOpEx: Monthly options expiration
OpEx: Options expiration
OPRA: Option Pricing Regulatory Authority
OTM: Out of the money
PnL: Profits and losses
RTH: Regular trading hours
RV: Realized volatility
SPX: Standard & Poor’s (S&P) 500 Index
SPY: SPDR S&P500 ETF
STC: Sell to close
STD: Standard deviation
STO: Sell to open
SVC: Spot-vol correlation
VIX: CBOE Volatility Index
VWAP: Volume-weighted average price
/VX: CBOE VIX Index Futures


Commonly Used Terminology
 
Dealer o’clock: Options market makers must end the day hedged. At approximately 2:00-3:00 p.m. Eastern, dealers begin to aggressively hedge their book.
 
Line in the sand (LIS): The strike at which dealers change their behavior – either from buying to selling, or selling to buying.
 
Magnet: The strike that price will be attracted to, usually in reference to positive vanna strikes.
 
Overvixed: There is a clear correlation between the VIX and percent change in SPX. Overvixed – overstatement of VIX – is when VIX runs higher than the SPX change implies.
 
Paradigms: Because of a 0DTE principle which states dealers tend to trade options to become risk neutral in aggregate vanna and charm, you will find that 0DTE charts are frequently uniform in nature. There are few occurrences where the charts are staggered. At different times in specific conditions, customer behavior can fall into one of four paradigms.

• Bank of America (BofA) Paradigm: In a paper by BofA, they stated their belief that customers are long calls and puts on 0DTE.
• Sidial Paradigm: In a paper by Kris Sidial, he stated his belief that customers are short calls and puts on 0DTE.
• GEX Paradigm: First written in a paper by SqueezeMetrics, this “gamma exposure” paradigm is when dealers are short puts and long calls.
• Anti-GEX Paradigm: The opposite of GEX, this paradigm is when dealers are long puts and short calls.

 
Rolling calls: Changing a call position to either a higher strike or further out in time.
 
Skew: The rate of change of implied volatility on an option chain. Vertical skew refers to the implied volatility change within an expiration from one strike to another. Horizontal skew refers to implied volatility change at a fixed strike over different expirations.
 
Spot: Current price of the underlying.
 
Spot-vol correlation (SVC): The linear regression between VIX points and percent change in SPX on a daily timeframe.
 
Strike: The relevant price on an option contract.
 
Undervixed: There is a clear correlation between the VIX and percent change in SPX. Undervixed – understatement of VIX – is when VIX runs lower than the SPX change implies.
 
Vol: Volatility.